Volterra differential equations with singular kernels
Probability
2017-03-27 v1
Abstract
Motivated by the potential applications to the fractional Brownianmotion, we study Volterra stochasticdifferential of the form~:\begin{equation}X\_t = x+ \int\_0^tK(t,s)b(s,X\_s)ds + \int\_0^tK(t,s) \sigma(s,X\_s)\,dB\_s ,\tag{E} \label{eq:sdefbm}\end{equation}where is a one-dimensional standard Brownianmotion and is a deterministic kernelwhose properties will be precised below but for which we don't assumeany boundedness property.
Cite
@article{arxiv.1703.08395,
title = {Volterra differential equations with singular kernels},
author = {Laure Coutin and Laurent Decreusefond},
journal= {arXiv preprint arXiv:1703.08395},
year = {2017}
}